Optimal Control Problems with Disorder
- Authors: Belyavskii G.I.1,2, Danilova N.V.1,2, Zemlyakova I.A.1,2
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Affiliations:
- Southern Federal University
- Vorovich Institute of Mathematics, Mechanics, and Computer Science
- Issue: Vol 80, No 8 (2019)
- Pages: 1419-1427
- Section: Control in Technical Systems
- URL: https://journals.rcsi.science/0005-1179/article/view/151131
- DOI: https://doi.org/10.1134/S0005117919080046
- ID: 151131
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Abstract
We consider a generalization of processes with disorder, namely processes with a vector disorder. For these problems, we consider a class of optimal control problems that do not detect the disorder. We propose a computational method for solving control problems on a finite time interval and with an objective functional defined at the end of the interval, based on the use of the martingale technique. We consider a computational experiment for a model with two barriers and two stopping times.
About the authors
G. I. Belyavskii
Southern Federal University; Vorovich Institute of Mathematics, Mechanics, and Computer Science
Author for correspondence.
Email: beliavsky@hotmail.com
Russian Federation, Rostov-on-Don; Rostov-on-Don
N. V. Danilova
Southern Federal University; Vorovich Institute of Mathematics, Mechanics, and Computer Science
Author for correspondence.
Email: danilova198686@mail.ru
Russian Federation, Rostov-on-Don; Rostov-on-Don
I. A. Zemlyakova
Southern Federal University; Vorovich Institute of Mathematics, Mechanics, and Computer Science
Author for correspondence.
Email: eizzzie@yandex.ru
Russian Federation, Rostov-on-Don; Rostov-on-Don
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